Two-way Homogeneity Pursuit for Quantile Network Vector Autoregression
Two-way Homogeneity Pursuit for Quantile Network Vector Autoregression
While the Vector Autoregression (VAR) model has received extensive attention for modelling complex time series, quantile VAR analysis remains relatively underexplored for high-dimensional time series data. To address this disparity, we introduce a two-way grouped network quantile (TGNQ) autoregression model for time series collected on large-scale networks, known for their …